
package org.drip.sample.measure;

import org.drip.analytics.date.DateUtil;
import org.drip.analytics.date.JulianDate;
import org.drip.measure.continuous.R1PiecewiseLinearLebesgue;
import org.drip.quant.common.FormatUtil;
import org.drip.service.env.EnvManager;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for fixed income analysts and developers -
 * 		http://www.credit-trader.org/Begin.html
 * 
 *  DRIP is a free, full featured, fixed income rates, credit, and FX analytics library with a focus towards
 *  	pricing/valuation, risk, and market making.
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *   	you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *  	http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *  	distributed under the License is distributed on an "AS IS" BASIS,
 *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *  	limitations under the License.
 */

/**
 * PiecewiseLinearLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise
 *  Linear Lebesgue Measure.
 *
 * @author Lakshmi Krishnamurthy
 */

public class PiecewiseLinearLebesgue {

	private static final void RPLL (
		final String strMessage,
		final double dblXMin,
		final double dblXMax,
		final double[] adblX,
		final double[] adblProb)
		throws Exception
	{
		R1PiecewiseLinearLebesgue rpll = R1PiecewiseLinearLebesgue.Standard (
			dblXMin,
			dblXMax,
			adblX,
			adblProb
		);

		double[] adblQuintile = new double[] {
			0.25,
			0.50,
			0.75
		};

		String strDump = "\t|| " + strMessage + " | ";

		/* for (int i = 0; i < adblX.length; ++i)
			strDump +=
				FormatUtil.FormatDouble (adblX[i], 3, 3, 1.) + " =>" +
				FormatUtil.FormatDouble (rpll.cumulative (adblX[i]), 1, 2, 1.) + " | "; */

		for (int i = 0; i < adblQuintile.length; ++i)
			strDump += " " +
				FormatUtil.FormatDouble (rpll.invCumulative (adblQuintile[i]), 3, 3, 1.) + " =>" +
				FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + "   | ";

		double[] adblDensity = rpll.piecewiseDensities();

		for (int i = 0; i < adblDensity.length; ++i)
			strDump += FormatUtil.FormatDouble (adblDensity[i], 1, 9, 1.) + ",";

		System.out.println (strDump + " ||");
	}

	private static final void DateRPLL (
		final String strMessage,
		final double dblXMin,
		final double dblXMax,
		final double[] adblX,
		final double[] adblProb)
		throws Exception
	{
		R1PiecewiseLinearLebesgue rpll = R1PiecewiseLinearLebesgue.Standard (
			dblXMin,
			dblXMax,
			adblX,
			adblProb
		);

		double[] adblQuintile = new double[] {
			0.25,
			0.50,
			0.75
		};

		String strDump = "\t|| " + strMessage + " | ";

		for (int i = 0; i < adblQuintile.length; ++i)
			strDump +=
				new JulianDate ((int) rpll.invCumulative (adblQuintile[i])) + " =>" +
				FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + " | ";

		double[] adblDensity = rpll.piecewiseDensities();

		for (int i = 0; i < adblDensity.length; ++i)
			strDump += FormatUtil.FormatDouble (adblDensity[i], 1, 9, 1.) + ",";

		System.out.println (strDump + " ||");
	}

	public static final void main (
		final String[] args)
		throws Exception
	{
		EnvManager.InitEnv ("");

		System.out.println();

		System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");

		System.out.println ("\t||             FIELD                |                       CUMULATIVE PROBABILITY                    |               PROBABILITY DENSITY NODES              ||");

		System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");

		RPLL (
			"Age (Months In Balance)         ",
			0.,
			60.,
			new double[] {3., 8., 15.},
			new double[] {0.25, 0.50, 0.75}
		);

		DateRPLL (
			"Vintage                         ",
			DateUtil.CreateFromDDMMMYYYY ("01-FEB-2007").julian(),
			DateUtil.CreateFromDDMMMYYYY ("01-FEB-2015").julian(),
			new double[] {
				DateUtil.CreateFromDDMMMYYYY ("01-APR-2012").julian(),
				DateUtil.CreateFromDDMMMYYYY ("01-MAR-2013").julian(),
				DateUtil.CreateFromDDMMMYYYY ("01-FEB-2014").julian()
			},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Original Principal ('000s)      ",
			0.5,
			35.,
			new double[] {8., 12., 20.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Monthly Gross Income ('000s)    ",
			0.25,
			725.549,
			new double[] {3.75, 5.167, 7.333},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Coupon (%)                      ",
			5.3,
			29.,
			new double[] {10.6, 13.5, 16.3},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"FICO At Origination             ",
			612.,
			847.,
			new double[] {677., 692., 717.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"DTI ex Mortgage (%)             ",
			0.,
			30.,
			new double[] {11., 16., 22.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Total Borrower Accounts         ",
			1.,
			162.,
			new double[] {16., 23., 31.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Revolving Utilization Rate (%)  ",
			0.,
			892.,
			new double[] {40., 58., 75.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Inquiries in Last 6 Months      ",
			0.,
			33.,
			new double[] {1.},
			new double[] {0.75}
		);

		RPLL (
			"Months Since Last Delinquency   ",
			0.,
			188.,
			new double[] {16., 31., 50.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Months Since Last Public Record ",
			0.,
			129.,
			new double[] {55., 79., 102.},
			new double[] {0.25, 0.50, 0.75}
		);

		RPLL (
			"Total Open Credit Lines         ",
			0.,
			90.,
			new double[] {8., 10., 14.},
			new double[] {0.25, 0.50, 0.75}
		);

		System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");
	}
}
